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Decisions in Economics and Finance

1978 - 2017

Current editor(s): Paolo Ghirardato

Associazione per la Matematica
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Volume 40, issue 1, 2017

An iterative computational scheme for solving the coupled Hamilton–Jacobi–Isaacs equations in nonzero-sum differential games of affine nonlinear systems pp. 1-30 Downloads
M. D. S. Aliyu
Reaching nirvana with a defaultable asset? pp. 31-52 Downloads
Anna Battauz, Marzia Donno and Alessandro Sbuelz
CLO replenishment regarded as linear optimisation problem pp. 53-62 Downloads
Claas Becker
Differentiated oligopolistic markets with concave cost functions via Ky Fan inequalities pp. 63-79 Downloads
Giancarlo Bigi and Mauro Passacantando
Generating the efficient frontier of a class of bicriteria generalized fractional programming pp. 81-101 Downloads
Riccardo Cambini, Laura Carosi and Laura Martein
Necessary conditions for nonsmooth multiobjective semi-infinite problems using Michel–Penot subdifferential pp. 103-113 Downloads
Giuseppe Caristi and Massimiliano Ferrara
Approximating exact expected utility via portfolio efficient frontiers pp. 115-143 Downloads
Alessandra Carleo, Francesco Cesarone, Andrea Gheno and Jacopo Maria Ricci
Pseudoconvexity on a closed convex set: an application to a wide class of generalized fractional functions pp. 145-158 Downloads
Laura Carosi
A migration equilibrium model with uncertain data and movement costs pp. 159-175 Downloads
A. Causa, B. Jadamba and F. Raciti
Robust games: theory and application to a Cournot duopoly model pp. 177-198 Downloads
Giovanni Paolo Crespi, Davide Radi and Matteo Rocca
Existence of optimal strategies in linear multisector models with several consumption goods pp. 199-229 Downloads
Giuseppe Freni, Fausto Gozzi and Neri Salvadori
Cyclically monotone equilibrium problems and Ekeland’s principle pp. 231-242 Downloads
Massimiliano Giuli
Genetic algorithm versus classical methods in sparse index tracking pp. 243-256 Downloads
Margherita Giuzio
A set optimization approach to utility maximization under transaction costs pp. 257-275 Downloads
Andreas H. Hamel and Sophie Qingzhen Wang
Convex and convex-like optimization over a range inclusion problem and first applications pp. 277-299 Downloads
Hocine Mokhtar-Kharroubi
An axiomatization of continuous quasilinear utility pp. 301-315 Downloads
Yann Rebille
A differential game in a duopoly with instantaneous incentives pp. 317-333 Downloads
Luca Grilli and Michele Bisceglia
Iterated Kalai–Smorodinsky–Nash compromise pp. 335-349 Downloads
Ismail Saglam
Weighted average price in the Heston stochastic volatility model pp. 351-373 Downloads
M. Papi, L. Pontecorvi and C. Donatucci
Convex incentives in financial markets: an agent-based analysis pp. 375-395 Downloads
Annalisa Fabretti, Tommy Gärling, Stefano Herzel and Martin Holmen

Volume 39, issue 2, 2016

Estimation of the regression slope by means of Gini’s cograduation index pp. 113-142 Downloads
D. Michele Cifarelli
Diversification preferences in the theory of choice pp. 143-174 Downloads
Enrico De Giorgi and Ola Mahmoud
Throwing good money after bad pp. 175-202 Downloads
Luca Rigotti, Matthew Ryan and Rhema Vaithianathan
Isometric operators on Hilbert spaces and Wold decomposition of stationary time series pp. 203-234 Downloads
Federico Severino
Capital allocation to alternatives with a multivariate ladder gamma return distribution pp. 235-258 Downloads
John A. Buzacott
Real options game models of R&D competition between asymmetric firms with spillovers pp. 259-291 Downloads
Chi Man Leung and Yue Kuen Kwok
Consumption optimization for recursive utility in a jump-diffusion model pp. 293-310 Downloads
Fabio Antonelli and Carlo Mancini
The link between the Shapley value and the beta factor pp. 311-325 Downloads
Karl Michael Ortmann
A note on portfolio selection and stochastic dominance pp. 327-331 Downloads
Mario Menegatti
A short proof of Deb’s Theorem on Schwartz’s rule pp. 333-336 Downloads
Athanasios Andrikopoulos

Volume 39, issue 1, 2016

Endogenous trading in credit default swaps pp. 1-31 Downloads
Marc Chesney, Delia Coculescu and Selim Gökay
The pricing of lookback options and binomial approximation pp. 33-67 Downloads
Karl Grosse-Erdmann and Fabien Heuwelyckx
On the choice between two delta-hedging strategies pp. 69-80 Downloads
Liang Hong
A note on the symmetry of all Nash equilibria in games with increasing best replies pp. 81-93 Downloads
Federico Quartieri and Pier Luigi Sacco
A representation of risk measures pp. 95-103 Downloads
Massimiliano Amarante
A note on fourth-order risk aversion pp. 105-111 Downloads
Yoshitaka Sakagami

Volume 38, issue 2, 2015

Term structure of interest rates estimation using rational Chebyshev functions pp. 119-146 Downloads
Polychronis Manousopoulos and Michalis Michalopoulos
Prepayment risk on callable bonds: theory and test pp. 147-176 Downloads
Pascal François and Sophie Pardo
Stochastic control model for R&D race in a mixed duopoly with spillovers and knowledge stocks pp. 177-195 Downloads
Jingjing Wang, Chi Leung and Yue Kwok
A model of information flows and confirmatory bias in financial markets pp. 197-215 Downloads
Mark Bowden
Risk management under a prudential policy pp. 217-230 Downloads
Hirbod Assa
Computing the distribution of the sum of dependent random variables via overlapping hypercubes pp. 231-255 Downloads
Marcello Galeotti

Volume 38, issue 1, 2015

Markets with random lifetimes and private values: mean reversion and option to trade pp. 1-19 Downloads
Jaksa Cvitanic, Charles Plott and Chien-Yao Tseng
Gambling in contests modelled with diffusions pp. 21-37 Downloads
Han Feng and David Hobson
On a fuzzy cash flow model with insurance applications pp. 39-54 Downloads
Daniela Ungureanu and Raluca Vernic
Rent-seeking group contests with one-sided private information pp. 55-73 Downloads
Rob Everhardt and Lambert Schoonbeek
Financial economics without probabilistic prior assumptions pp. 75-91 Downloads
Frank Riedel
Using Value-at-Risk to reconcile limited liability and the moral-hazard problem pp. 93-118 Downloads
Vanda Tulli and Gerd Weinrich

Volume 37, issue 2, 2014

Numeraire portfolios and utility-based price systems under proportional transaction costs pp. 195-234 Downloads
Jörn Sass and Manfred Schäl
Estimating overnight volatility of asset returns by using the generalized dynamic factor model approach pp. 235-254 Downloads
Umberto Triacca and Fulvia Focker
Selecting stochastic mortality models for the Italian population pp. 255-286 Downloads
Paola Biffi and Gian Clemente
The restricted convex risk measures in actuarial solvency pp. 287-318 Downloads
Dimitrios Konstantinides and Christos Kountzakis
Symmetry and Bates’ rule in Ornstein–Uhlenbeck stochastic volatility models pp. 319-327 Downloads
José Fajardo
Hedging and the competitive firm under correlated price and background risk pp. 329-340 Downloads
Kit Wong
A note on the existence of CAPM equilibria with homogeneous cumulative prospect theory preferences pp. 341-348 Downloads
Matteo Del Vigna
Existence of financial equilibria with endogenous short selling restrictions and real assets pp. 349-371 Downloads
Michele Gori, Marina Pireddu and Antonio Villanacci
Portfolio optimization for an investor with a benchmark pp. 373-384 Downloads
R. Korn and C. Lindberg
Saving motives and multivariate precautionary premia pp. 385-391 Downloads
Christophe Courbage
An application of nonparametric volatility estimators to option pricing pp. 393-412 Downloads
Romuald Kenmoe and Simona Sanfelici
Production and hedging in futures markets with multiple delivery specifications pp. 413-421 Downloads
Kit Wong
Measuring and adjusting for overconfidence pp. 423-452 Downloads
P. Schanbacher
Optimal portfolio choice and consistent performance pp. 453-474 Downloads
Xianzhe Chen and Weidong Tian

Volume 37, issue 1, 2014

Foreword to the special issue on nonlinear economic dynamics pp. 1-2 Downloads
Gian Italo Bischi, Jose Cánovas and Michael Kopel
Expectations and industry location: a discrete time dynamical analysis pp. 3-26 Downloads
Anna Agliari, Pasquale Commendatore, Ilaria Foroni and Ingrid Kubin
One-dimensional maps with two discontinuity points and three linear branches: mathematical lessons for understanding the dynamics of financial markets pp. 27-51 Downloads
Fabio Tramontana, Frank Westerhoff and Laura Gardini
Discrete-time delay dynamics of boundedly rational monopoly pp. 53-79 Downloads
Akio Matsumoto and Ferenc Szidarovszky
Endogenous lifetime, accidental bequests and economic growth pp. 81-98 Downloads
Luciano Fanti, Luca Gori and Fabio Tramontana
Property rights for natural resources and sustainable growth in a two-country trade model pp. 99-123 Downloads
F. Cabo, Guiomar Martin-Herran and María Pilar Martínez-García
Heterogeneous expectations and debt in a growth model for a small open economy pp. 125-136 Downloads
Michael Wegener
Relational consumption and nonlinear dynamics in an overlapping generations model pp. 137-158 Downloads
Angelo Antoci, Mauro Sodini and Luca Zarri
Indeterminacy and nonlinear dynamics in an OLG growth model with endogenous labour supply and inherited tastes pp. 159-179 Downloads
Luca Gori and Mauro Sodini
Nonparametric correlation integral–based tests for linear and nonlinear stochastic processes pp. 181-193 Downloads
Mariano Matilla-García, Manuel Ruiz Marín, Mohammed Dore and Rina Ojeda
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